A computational approach to first-passage-time problems for Gauss-Markov processes (Q2749133)
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scientific article; zbMATH DE number 1663789
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A computational approach to first-passage-time problems for Gauss-Markov processes |
scientific article; zbMATH DE number 1663789 |
Statements
23 June 2002
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Brownian bridge
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varying boundaries
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Daniels boundary
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Volterra integral equations
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A computational approach to first-passage-time problems for Gauss-Markov processes (English)
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The authors propose a new computationally simple, speedy and accurate method for the construction of first-passage-time probability density functions for Gauss-Markov processes through time-dependent boundaries, both for fixed and random initial states. Furthermore, some applications to Brownian motion and to the Brownian bridge are also provided along with a comparison with some computational results for Durbin and Daniels. Finally, certain results on classes of boundaries are also obtained.
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